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Modelling the Equity Beta Risk of Australian Financial Sector Companies

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  • Lie, Frida
  • Brooks, Robert
  • Faff, Robert

Abstract

In this paper we apply the generalised auto-regressive conditional heteroskedasticity (GARCH) and Kalman Filter approaches to modelling the equity beta risk of a sample of fifteen Australian financial sector companies. A de-regulated environment in which strong competitive forces are at play typifies the period of investigation. Consistent with the existing literature, we find that these modelling techniques perform well and, in particular, that the Kalman Filter approach is preferred. Further, we find that considerable variability of risk occurs throughout the sample period. Thus, extending the evidence of Harper and Scheit (1992); Brooks and Faff (1995) and Brooks, Faff and McKenzie (1997), we find evidence consistent with the hypothesis that deregulation has impacted the risk of banking sector stocks. Copyright 2000 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Australian Economic Papers.

Volume (Year): 39 (2000)
Issue (Month): 3 (September)
Pages: 301-11

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Handle: RePEc:bla:ausecp:v:39:y:2000:i:3:p:301-11

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X

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Cited by:
  1. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  2. Ibrahim Onour, . "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  3. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
  4. Bogdan, Sinisa & Baresa, Suzana & Ivanovic, Sasa, 2010. "Portfolio Analysis Based On The Example Of Zagreb Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 1(1), pages 39-52.
  5. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  6. Claudia Burgio-Ficca, 2004. "The Impact of Higher Education Research and Development on Australian Gross State Product," Economics Series 2004_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  7. Tomas Adam & Sona Benecka & Ivo Jansky, 2012. "Time-Varying Betas of Banking Sectors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 485-504, December.
  8. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA.
  9. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.

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